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Modeling Uncertainty

An Examination of Stochastic Theory, Methods, and Applications

  • Book
  • © 2002

Overview

Editors:
  1. Moshe Dror

    1. University of Arizona, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Pierre L’Ecuyer

    1. Université de Montréal, France

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    You can also search for this editor in PubMed   Google Scholar

  3. Ferenc Szidarovszky

    1. University of Arizona, USA

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  • Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume
  • The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others.
  • Easily accessible to a nonexpert - a graduate student or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic.

Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 46)

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Table of contents (30 chapters)

  1. Front Matter

    Pages i-xxix
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  2. Professor Sidney J. Yakowitz

    1. Professor Sidney J. Yakowitz

      • D. S. Yakowitz
      Pages 1-11

  3. Part I

    1. Front Matter

      Pages 13-13
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    2. Stability of Single Class Queueing Networks

      • Harold J. Kushner
      Pages 13-34

    3. Sequential Optimization Under Uncertainty

      • Tze Leung Lai
      Pages 35-55

    4. Exact Asymptotics for Large Deviation Probabilities, with Applications

      • Iosif Pinelis
      Pages 57-93

  5. Part III

    1. Front Matter

      Pages 155-155
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    2. An Efficient Stochastic Approximation Algorithm for Stochastic Saddle Point Problems

      • Arkadi Nemirovski, Reuven Y. Rubinstein
      Pages 156-184

    3. Regression Models for Binary Time Series

      • Benjamin Kedem, Konstantinos Fokianos
      Pages 185-199

    4. Almost Sure Convergence Properties of Nadaraya-Watson Regression Estimates

      • Harro Walk
      Pages 201-223

    5. Strategies for Sequential Prediction of Stationary Time Series

      • László Gyöfi, Gábor Lugosi
      Pages 225-248

  6. Part IV

    1. Front Matter

      Pages 249-249
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    2. The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags

      • Carl Chiarella, Ferenc Szidarovszky
      Pages 249-268

    3. A Differential Game of Debt Contract Valuation

      • A. Haurie, F. Moresino
      Pages 269-283

    4. Huge Capacity Planning and Resource Pricing for Pioneering Projects

      • David Porter
      Pages 285-300

    5. Affordable Upgrades of Complex Systems: A Multilevel, Performance-Based Approach

      • James A. Reneke, Matthew J. Saltzman, Margaret M. Wiecek
      Pages 301-331
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Keywords

About this book

Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications, is a volume undertaken by the friends and colleagues of Sid Yakowitz in his honor. Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume. Each of these papers was carefully reviewed and in the majority of cases the original submission was revised before being accepted for publication in the book. The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others. There are papers with a theoretical emphasis and others that focus on applications. A number of papers survey the work in a particular area and in a few papers the authors present their personal view of a topic. It is a book with a considerable number of expository articles, which are accessible to a nonexpert - a graduate student in mathematics, statistics, engineering, and economics departments, or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic. Many of the papers present the state of the art of a specific area or represent original contributions which advance the present state of knowledge. In sum, it is a book of considerable interest to a broad range of academic researchers and students of stochastic systems.

Editors and Affiliations

  • University of Arizona, USA

    Moshe Dror, Ferenc Szidarovszky

  • Université de Montréal, France

    Pierre L’Ecuyer

About the editors

​Moshe Dror joined the Eller College of Management in 1990 and previously taught at Ben Gurion University. He earned his PhD in Management Science from the University of Maryland in 1983. His research focuses on cooperative game theory, cost allocation in inventory and supply chain management, applied combinatorial optimization in transportation, logistics and manufacturing and intelligent solution systems for operations scheduling.

Pierre L’Ecuyer is a Professor in the Departement d’Informatique et de Recherche Operationnelle at the Universite de Montreal, since 1990. He holds the Canada Research Chair in Stochastic Simulation and Optimization since 2004 and an Inria International Chair (at Inria-Rennes, France) for 2013–2018. He is a member of the CIRRELT and GERAD research centers, in Montreal.



Ferenc Szidarovszky is a senior researcher with the Ridgetop Group Inc. working on theoretical issues concerning reliability, robustness, optimal maintenance and replacement policies and prognostics in complex systems. In addition to these industrial applications he also performs research in systems theory, especially in dynamic economic systems. He has performed research in very broad fields of applied mathematics including numerical analysis, optimization, multi-objective programming, game theory, dynamic systems, applied probability and their applications in industrial processes, environment, water resources management, economics, and computer network security, among others. He currently has a professor position with the Applied Mathematics Department of the University of Pecs, Hungary, where his duty is a one week long intensive Game Theory Course every year.

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